Pre-reg: 50-name covered universe, proxy resid top-5/H21, daily-aggregated event gates, long-only next_open. Split IS<2023/OOS>=2023. Costs 10bps/25bps-stress. sqrt252. DSR K=12.
Scoreboard (OOS net)
| Arm | Ret | Sharpe | MaxDD | Net10 | Net25 | Turn/yr | Lift | p | Resid | IS lift |
|---|---|---|---|---|---|---|---|---|---|---|
| CONTROL proxy-only | +84.88% | 0.71 | -44.59% | 0.71 | 0.66 | 7.39 | - | - | -0.71 | +0.00 |
| A reclaim | +75.67% | 0.94 | -23.80% | 0.94 | 0.79 | 14.41 | +0.23 | 0.6342 | +0.70 | +0.06 |
| B pullback | +14.27% | 0.46 | -12.68% | 0.46 | 0.35 | 4.43 | -0.25 | 0.8810 | +0.27 | -0.57 |
| C breakout | +14.85% | 0.35 | -32.92% | 0.35 | 0.23 | 9.32 | -0.36 | 0.8650 | +0.15 | -0.51 |
| D continuation | +21.61% | 0.42 | -24.10% | 0.42 | 0.28 | 11.39 | -0.29 | 0.8484 | +0.15 | -0.44 |
| E +RS | +14.13% | 0.36 | -21.44% | 0.36 | 0.23 | 9.26 | -0.35 | 0.8720 | +0.16 | -0.63 |
| F +RVOL | +44.92% | 0.77 | -24.37% | 0.77 | 0.61 | 11.92 | +0.06 | 0.7586 | +0.57 | +1.14 |
| G +mom | +52.73% | 0.82 | -18.45% | 0.82 | 0.68 | 11.79 | +0.11 | 0.7282 | +0.61 | -0.08 |
| H +RS+RVOL | -4.49% | -0.10 | -22.89% | -0.10 | -0.22 | 6.24 | -0.81 | 0.9278 | -0.27 | +0.67 |
| I +RS+mom+RVOL | -1.30% | -0.02 | -15.49% | -0.02 | -0.14 | 4.99 | -0.73 | 0.9214 | -0.16 | +0.96 |
| J +regime | +8.44% | 0.23 | -28.07% | 0.23 | 0.08 | 11.29 | -0.48 | 0.8940 | -0.03 | +0.02 |
| K full+regime | -4.85% | -0.17 | -15.49% | -0.17 | -0.28 | 4.47 | -0.88 | 0.9298 | -0.32 | +0.92 |
Best arm: A reclaim (lift +0.23, DSR(K=12) 0.73).
Verdicts (per-arm, OOS vs CONTROL)
- A reclaim: reject (lift +0.23, p 0.6342, resid +0.70, IS +0.06)
- B pullback: reject (lift -0.25, p 0.8810, resid +0.27, IS -0.57)
- C breakout: reject (lift -0.36, p 0.8650, resid +0.15, IS -0.51)
- D continuation: reject (lift -0.29, p 0.8484, resid +0.15, IS -0.44)
- E +RS: reject (lift -0.35, p 0.8720, resid +0.16, IS -0.63)
- F +RVOL: reject (lift +0.06, p 0.7586, resid +0.57, IS +1.14)
- G +mom: reject (lift +0.11, p 0.7282, resid +0.61, IS -0.08)
- H +RS+RVOL: reject (lift -0.81, p 0.9278, resid -0.27, IS +0.67)
- I +RS+mom+RVOL: reject (lift -0.73, p 0.9214, resid -0.16, IS +0.96)
- J +regime: reject (lift -0.48, p 0.8940, resid -0.03, IS +0.02)
- K full+regime: reject (lift -0.88, p 0.9298, resid -0.32, IS +0.92)
Matrix verdict: NONE graduate (0/11 to forward Gemma+X paper).
Time 41s.